9 earnings setups · 1 flagged as asymmetric
The forward calendar for the week of July 27 – July 31, 2026 is stacked with post-earnings movers, but the options tape is broadly expensive: across 387 names with usable history, the median IV-vs-realized delta is +7.6 percentage points and 96% of the pool prints implied moves at or above their recent realized. That is a decisive premium-selling regime, and the honest read is that only one name in the entire scan meets our asymmetric long-vol bar (implied ≤ realized − 1.5pp on ≥4 quarters of history): ROKU. Reports July 29 after close with a 3.4% straddle against a 9.4% median realized over the last 10 quarters — 7 of those 10 posts have moved more than 8%, and the historical band runs +31% / -24%. Every other headline volatility name — LMND (16.2% implied / 13.7% realized), CROX (14.5% / 11.0%), BAND (26.3% / 10.9%), NWL (19.1% / 10.7%), RBLX (14.8% / 10.3%) — is asking a premium over the historical baseline, which favors defined-risk short-vol structures (iron condors, put-spread credit spreads on names with strong guides) over outright long-gamma. Order below is ranked by median absolute historical post-earnings move; ROKU is the only isFlagged=true setup.
ROKU
Roku, Inc.Only name in the 387-ticker universe meeting the cheap-IV bar this week: implied move 3.4% vs 9.4% median realized (delta -6.0pp), 7 of 10 prior posts above 8%. Asymmetric long-vol setup by every measure the scan tracks, subject to the live-quote sanity check noted in risks.
This is the entire long-vol case this week. ROKU reports July 29 after close with the straddle pricing a 3.4% move against a 9.4% realized median over the last 10 quarters — 7 of those 10 prints moved more than 8%, and the historical band is +31% / -24%. That is a straddle asking roughly one-third of the median historical outcome. The only clean explanation for such a compressed implied is that the desk is expecting a small guide within a well-telegraphed range and pricing in a low probability of a surprise; every other read of the history says the buyer of that straddle is the favorite.